You need things which will absorb as much sound as possible - things like sofas, carpets and curtains will all cut down the amount of noise which escapes the room; similarly, having things over the walls - like drapes or curtains, or covering them with egg boxes - will dampen down the sound outside the room.
The heavier the material you use in the room the better - my music teacher built a sand-filled partition around his practice room to soundproof it!
You might want to look at things like doors and windows which have gaps around them - these are another source of sound escaping. Putting a draught excluder or similar at the foot of the door would help a little.
Finally, you could look into practice mutes - I have one for my trumpet which reduces the noise significantly (although it does change the tone) - presumably they exist for saxes as well.